Dragonglass is the Westeros name for obsidian, a form of volcanic glass. Along with Valyrian steel, it's one of the only substances known to kill wights and White Walkers.
In season seven, Samwell Tarly discovers that a substantial amount of dragonglass can be found on Dragonstone, the ancestral home of House Targaryen on an island near Blackwater Bay. Jon then forms an alliance with Daenerys Targaryen so that he can mine the substance in preparation for the oncoming war with the Night King.
Numerous weapons can be made from dragonglass such as arrows, spears, battleaxes, hatchets, and daggers.